The impact of macroeconomic news on Polish and Czech government bond markets

Arbeitspapier

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under different stages of the business cycle. We find that the Polish government bonds prices respond to several domestic indicators in a manner consistent with research from mature markets: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in prices during the first hour since the release time. We could find much fewer systematic patterns for the Czech government bond market where any response was delayed. In both countries, the impact of GDP was found to vary between different stages of the business cycle.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 12/2015

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: macroeconomic news ; government bond market ; intraday data ; event study ; GARCH ; CEE

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hausenblas, Václav ; Pištora, Vojtěch
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/120417
• Last update: 10.03.2025, 11:41 AM CET